应用计量经济学教学及其电脑系统配置信息
经管之家：Do the best economic and management education！
作者： Daniel Tulips Liu.
大学： 重庆工商大学。
文档类型：使用 Markdown 与 Katex 完成应用计量经济学教学。 文责自负。
摘要
本文通过使用Rstudio 中的多个工具包，进行面板模型建模的教学实验。其中，通过基础的面板模型数据类型创建，以使数据适用于面板工具箱的泛型函数的调用。其次，在建模后对模型的估计进行诊断检验(Diagnostic test)，以评判作者对面板模型的设定以及估计是否正确。 最后，本文对模型的绘图也给出恰当的程序代码。
关键字： 计量经济学实证，应用计量经济学，面板模型。
help(package = ‘gmm’)
help(package = ‘plm’)
关于怎么样在 R 中自动生成对工具包的引用，以及自动生成的参考文献 Bibliography.
> print(citation("plm"), bibtex = TRUE)
To cite plm in publications use:
Croissant Y, Millo G (2018). _Panel Data Econometrics with R_. Wiley.
LaTeX的用户的BibTeX条目是
@Book{,
title = {Panel Data Econometrics with {R}},
author = {Yves Croissant and Giovanni Millo},
publisher = {Wiley},
year = {2018},
}
To cite plm in publications use:
Croissant Y, Millo G (2008). “Panel Data Econometrics in R: The plm Package.” _Journal of Statistical
Software_, *27*(2), 1-43. doi:10.18637/jss.v027.i02 <https://doi.org/10.18637/jss.v027.i02>.
LaTeX的用户的BibTeX条目是
@Article{,
title = {Panel Data Econometrics in {R}: The {plm} Package},
author = {Yves Croissant and Giovanni Millo},
journal = {Journal of Statistical Software},
year = {2008},
volume = {27},
number = {2},
pages = {1--43},
doi = {10.18637/jss.v027.i02},
}
For the covariance matrix estimators in plm, please cite:
Millo G (2017). “Robust Standard Error Estimators for Panel Models: A Unifying Approach.” _Journal of
Statistical Software_, *82*(3), 1-27. doi:10.18637/jss.v082.i03 <https://doi.org/10.18637/jss.v082.i03>.
LaTeX的用户的BibTeX条目是
@Article{,
title = {Robust Standard Error Estimators for Panel Models: A Unifying Approach},
author = {Giovanni Millo},
journal = {Journal of Statistical Software},
year = {2017},
volume = {82},
number = {3},
pages = {1--27},
doi = {10.18637/jss.v082.i03},
}
R code: technique detail
library("knitr")
opts_chunk$set(message = FALSE, warning = FALSE)
## -----------------------------------------------------------------------------
library("plm")
data("SeatBelt", package = "pder")
SeatBelt$occfat <- with(SeatBelt, log(farsocc / (vmtrural + vmturban)))
pSB <- pdata.fr ame(SeatBelt)
## -----------------------------------------------------------------------------
formols <- occfat ~ log(usage) + log(percapin)
mfols <- model.fr ame(pSB, formols)
Xols <- model.matrix(mfols)
y <- pmodel.response(mfols)
coef(lm.fit(Xols, y))
## -----------------------------------------------------------------------------
coef(plm(formols, SeatBelt, model = "pooling"))
## -----------------------------------------------------------------------------
formiv1 <- occfat ~ log(usage) + log(percapin) | log(percapin) + ds + dp + dsp
formiv2 <- occfat ~ log(usage) + log(percapin) | . - log(usage) + ds + dp + dsp
## -----------------------------------------------------------------------------
mfSB1 <- model.fr ame(pSB, formiv1)
X1 <- model.matrix(mfSB1, rhs = 1)
W1 <- model.matrix(mfSB1, rhs = 2)
head(X1, 3) ; head(W1, 3)
## -----------------------------------------------------------------------------
library("Formula")
head(model.fr ame(Formula(formiv2), SeatBelt), 3)
head(model.fr ame(Formula(formiv2), SeatBelt, dot = "previous"), 3)
## -----------------------------------------------------------------------------
mfSB2 <- model.fr ame(pSB, formiv2)
X2 <- model.matrix(mfSB2, rhs = 1)
W2 <- model.matrix(mfSB2, rhs = 2)
head(X2, 3) ; head(W2, 3)
## -----------------------------------------------------------------------------
HX1 <- lm.fit(W1, X1)$fitted.values
head(HX1, 3)
## -----------------------------------------------------------------------------
coef(lm.fit(HX1, y))
## -----------------------------------------------------------------------------
coef(plm(formiv1, SeatBelt, model = "pooling"))
## -----------------------------------------------------------------------------
coef(AER::ivreg(formiv1, data = SeatBelt))
## ----eval = FALSE, include = FALSE--------------------------------------------
X2 <- model.matrix(Formula(form1), mfSB, rhs = 2, dot = "previous")
formols <- occfat ~ log(usage) + log(percapin) | . - log(usage) + ds + dp + dsp
form1 <- occfat ~ log(usage) + log(percapin) + log(unemp) + log(meanage) +
log(precentb) + log(precenth) + log(densrur) + log(densurb) +
log(viopcap) + log(proppcap) + log(vmtrural) + log(vmturban) +
log(fueltax) + lim65 + lim70p + mlda21 + bac08
form2 <- . ~ . | . - log(usage) + ds + dp +dsp
jorm1 <- occfat ~ log(usage) + log(percapin) + log(unemp) + log(meanage) +
log(precentb) + log(precenth) + log(densrur) + log(densurb) +
log(viopcap) + log(proppcap) + log(vmtrural) + log(vmturban) +
log(fueltax) + lim65 + lim70p + mlda21 + bac08 | . - log(usage) +
ds + dp + dsp
jorm2 <- noccfat ~ . | .
我的电脑系统信息展示 Ubuntu 2023.10
以下是我的Rstudio 编程语言集成环境（IDE）的信息，如下：
utils::sessionInfo() R version 4.3.1 (2023-06-16)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: Ubuntu 23.10
Matrix products: default
BLAS: /usr/lib/x86_64-linux-gnu/openblas-pthread/libblas.so.3
LAPACK: /usr/lib/x86_64-linux-gnu/openblas-pthread/libopenblasp-r0.3.23.so; LAPACK version 3.11.0
locale:
[1] LC_CTYPE=zh_CN.UTF-8 LC_NUMERIC=C LC_TIME=zh_CN.UTF-8 LC_COLLATE=zh_CN.UTF-8
[5] LC_MONETARY=zh_CN.UTF-8 LC_MESSAGES=zh_CN.UTF-8 LC_PAPER=zh_CN.UTF-8 LC_NAME=C
[9] LC_ADDRESS=C LC_TELEPHONE=C LC_MEASUREMENT=zh_CN.UTF-8 LC_IDENTIFICATION=C
time zone: Asia/Shanghai
tzcode source: system (glibc)
attached base packages:
[1] stats graphics grDevices utils datasets methods base
loaded via a namespace (and not attached):
[1] compiler_4.3.1 fastmap_1.1.1 cli_3.6.2 htmltools_0.5.8.1 tools_4.3.1 rstudioapi_0.16.0
[7] yaml_2.3.8 rmarkdown_2.26 knitr_1.46 xfun_0.43 digest_0.6.35 Cairo_1.6-2
[13] rlang_1.1.3 evaluate_0.23
电脑系统信息，如下：
tulipsliu@tulipsliu-host:~$ pwd
/home/tulipsliu
tulipsliu@tulipsliu-host:~$ echo `date`
2024年 04月 18日 星期四 08:08:01 CST
tulipsliu@tulipsliu-host:~$ tex --version
TeX 3.141592653 (TeX Live 2023/Debian)
kpathsea version 6.3.5
Copyright 2023 D.E. Knuth.
There is NO warranty. Redistribution of this software is
covered by the terms of both the TeX copyright and
the Lesser GNU General Public License.
For more information about these matters, see the file
named COPYING and the TeX source.
Primary author of TeX: D.E. Knuth.
tulipsliu@tulipsliu-host:~$ gcc --version
gcc (Ubuntu 13.2.0-4ubuntu3) 13.2.0
Copyright (C) 2023 Free Software Foundation, Inc.
This is free software; see the source for copying conditions. There is NO
warranty; not even for MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.
tulipsliu@tulipsliu-host:~$ gfortran --version
GNU Fortran (Ubuntu 13.2.0-4ubuntu3) 13.2.0
Copyright (C) 2023 Free Software Foundation, Inc.
This is free software; see the source for copying conditions. There is NO
warranty; not even for MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.
tulipsliu@tulipsliu-host:~$
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